I'll add that shadow boxing with wieghts is actually BAD for your technique. Think about it- when do you fight with weights in your hands- NEVER! Try and get good form without holding weights, and your technique will improve far more.

I personally do both shadow boxing and work on a bag. But i wouldnt say that doing shadow boxing (more kickboxing) is a bad thing. I think that working on a bag makes it very easy to slack and take weight off onto a bag, where as shadow *kick*boxing and boxing would mean that you have to keep your balance well when training, also in front of a mirror its quite easy to see where the flaws are in technique.There are small dunbells or what ever people do use, but i personally think if you want to train with weights your best off hitting a bag with some 16oz gloves ;P